Optimise a portfolio of asset classes and a currency carry basket: return, risk, diversification and stress tests

Managing Director, Niels Lunde Rasmussen

Is your portfolio getting the most return for the risk it takes?

1
Pick a portfolio

A pension-style balanced portfolio, a company's surplus liquidity or a foundation with a long horizon. Or type in your own weights.

2
Set the assumptions

Expected return, volatility, correlations and the limits for each asset class. The defaults are indicative long-term assumptions.

3
Optimise and stress-test

The efficient frontier, maximum Sharpe ratio, the same risk with more return, risk parity, 2,000 simulations, stress scenarios and an FX carry basket.

Nilura Allocation Lite is free. It uses one set of long-term assumptions and classic mean-variance optimisation. A review with Niels goes further: your actual holdings and liabilities, liquidity needs, robust optimisation, currency hedging and an investment policy the board can approve.

Optimising…